Empirical PITs conditioned on a shared reference sample converge to a two-sample Kolmogorov-Smirnov regime and rolling windows induce autocorrelation plus variance suppression, invalidating classical one-sample uniformity tests.
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Why Empirical p-Values Are Not Uniform: Reference Samples, Dependence, and PIT Backtesting
Empirical PITs conditioned on a shared reference sample converge to a two-sample Kolmogorov-Smirnov regime and rolling windows induce autocorrelation plus variance suppression, invalidating classical one-sample uniformity tests.